A model selection criterion based on the BHHJ measure of divergence

Abstract

The aim of this work is the discussion and investigation of measures of divergence and model selection criteria. A recently introduced measure of divergence, the so-called BHHJ measure (Basu, A., Harris, I.R., Hjort, N.L., Jones, M.C., 1998. Robust and efficient estimation by minimising a density power divergence. Biometrika 85, 549-559) is investigated and a new model selection criterion the divergence information criterion (DIC) based on this measure is proposed. Simulations are performed to check the appropriateness of the proposed criterion. © 2008 Elsevier B.V. All rights reserved.